Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0096
Annualized Std Dev 0.1653
Annualized Sharpe (Rf=0%) 0.0583

Row

Daily Return Statistics

Close
Observations 2855.0000
NAs 1.0000
Minimum -0.0847
Quartile 1 -0.0050
Median 0.0004
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0055
Maximum 0.0567
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0001
Stdev 0.0104
Skewness -0.5652
Kurtosis 5.9379

Downside Risk

Close
Semi Deviation 0.0077
Gain Deviation 0.0068
Loss Deviation 0.0080
Downside Deviation (MAR=210%) 0.0127
Downside Deviation (Rf=0%) 0.0076
Downside Deviation (0%) 0.0076
Maximum Drawdown 0.4328
Historical VaR (95%) -0.0162
Historical ES (95%) -0.0252
Modified VaR (95%) -0.0174
Modified ES (95%) -0.0340
From Trough To Depth Length To Trough Recovery
2011-04-11 2016-01-20 NA -0.4328 2501 1201 NA
2010-04-26 2010-05-20 2010-09-13 -0.1287 93 18 75
2010-01-12 2010-02-05 2010-04-05 -0.1103 53 18 35
2011-03-04 2011-03-16 2011-03-31 -0.0696 20 9 11
2009-11-17 2009-12-15 2010-01-04 -0.0436 32 20 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA NA NA -1.8 3 -0.4 0.8
2010 1.7 0.7 1.3 -1 0.2 -2.3 -0.4 1.5 0.7 0.9 1.8 0.3 5.3
2011 1.8 -0.8 0.3 0.1 -1 0.5 -0.9 -0.4 -1.9 -2.4 -0.3 -0.1 -5.1
2012 0.9 0.5 0.6 0.3 -0.4 2.9 -0.1 1.3 1.4 1.8 0.2 2.7 12.5
2013 0.6 -0.5 -0.3 -1.1 -1.5 0.6 0 -0.7 0 -1 0.7 0.1 -3.1
2014 -0.4 0.3 0.1 -0.2 -0.2 -0.2 0.1 0.1 -0.5 0.4 -0.2 -0.8 -1.4
2015 -0.5 0.3 0.7 0.6 -0.4 -1 -0.1 -2.9 0.6 0.5 0.5 -0.4 -2.3
2016 0.4 2.3 -0.5 0.4 0 0.6 -0.4 0.4 0 1.1 -0.3 -0.4 3.6
2017 -0.4 1 -0.2 -0.7 0.5 0.6 0.2 0.6 0.6 0.4 0.1 0.3 3.1
2018 0.3 -0.8 1 -0.7 0.1 0.8 -1.1 -0.3 0.1 2 -0.2 0.1 1.3
2019 -0.2 0.4 0.9 -1 0.2 0.2 -1.1 0.6 -1 1.2 -0.4 0.3 0.1
2020 -1.6 -1.3 -2.7 -1.8 1 -0.8 -0.5 0 0.1 0.2 1.6 -0.3 -5.9
2021 1.1 1 -0.2 NA NA NA NA NA NA NA NA NA 1.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-10-27  24.9 SPY    106. -0.0046  -0.0256   0.0009   0.0898   0.268    -0.231  -0.0459 GLD    102. -0.0001 -0.0152 
2 2009-10-28  24.2 SPY    104. -0.0189  -0.0353  -0.015    0.0582   0.114    -0.248  -0.075  GLD    101. -0.011  -0.0291 
3 2009-10-29  24.6 SPY    107.  0.0215  -0.0245   0.01     0.0793   0.146    -0.227  -0.058  GLD    103.  0.0194 -0.0119 
4 2009-10-30  24.1 SPY    104. -0.029   -0.0418   0.0054   0.0311   0.0754   -0.248  -0.0852 GLD    103. -0.0015 -0.00930
5 2009-11-02  24.5 SPY    104.  0.0073  -0.0242   0.0179   0.0359   0.0774   -0.243  -0.081  GLD    104.  0.0138  0.0205 
6 2009-11-03  24.7 SPY    105.  0.0032  -0.0166   0.0061   0.0422   0.0776   -0.235  -0.0784 GLD    106.  0.0241  0.0453 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart